NASDAQ Global Backtesting

NQG
NQGS -- USA Index  

 4,434  15.88  0.36%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of NASDAQ Global Select Market Com and determine expected loss or profit from investing in NASDAQ Global over given investment horizon. See also NASDAQ Global Hype Analysis, NASDAQ Global Correlation, Portfolio Optimization, NASDAQ Global Volatility as well as analyze NASDAQ Global Alpha and Beta and NASDAQ Global Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

NASDAQ Global 'What if' Analysis

October 23, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
January 21, 2020
0.00
If you would invest  0.00  in NASDAQ Global on October 23, 2019 and sell it all today you would earn a total of 0.00 from holding NASDAQ Global Select Market Com or generate 0.0% return on investment in NASDAQ Global over 90 days. NASDAQ Global is related to or competes with SK Innovation, VEDANTA, PETROBRAS, NIPPON TEL, and NIPPON TEL.

NASDAQ Global Upside/Downside Indicators

Downside Deviation0.6376
Information Ratio0.1544
Maximum Drawdown2.94
Value At Risk(0.60)
Potential Upside1.3

NASDAQ Global Market Premium Indicators

Risk Adjusted Performance0.1759
Total Risk Alpha0.0618
Sortino Ratio0.1479

NASDAQ Global Select Backtested Returns

NASDAQ Global Select has Sharpe Ratio of 0.3632 which conveys that the index had 0.3632% of return per unit of standard deviation over the last 3 months. Our approach into estimating volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty technical indicators for NASDAQ Global which you can use to evaluate future volatility of the entity. The entity secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and NASDAQ Global are completely uncorrelated. Although it is extremely important to respect NASDAQ Global Select price patterns, it is better to be realistic regarding the information on equity historical price patterns. The approach into estimating future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting NASDAQ Global Select technical indicators you can now evaluate if the expected return of 0.2217% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.86 
correlation synergy

Very good predictability

NASDAQ Global Select Market Com has very good predictability. Overlapping area represents the amount of predictability between NASDAQ Global time series from October 23, 2019 to December 7, 2019 and December 7, 2019 to January 21, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NASDAQ Global Select price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current NASDAQ Global price fluctuation can be explain by its past prices.
Correlation Coefficient0.86
Spearman Rank Test0.91
Residual Average0.0
Price Variance9420.47

NASDAQ Global Select lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

NASDAQ Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

NASDAQ Global Lagged Returns

 Regressed Prices 
    
  Timeline 

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See also NASDAQ Global Hype Analysis, NASDAQ Global Correlation, Portfolio Optimization, NASDAQ Global Volatility as well as analyze NASDAQ Global Alpha and Beta and NASDAQ Global Performance. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.